<p>
  News items are usually released before the opening bell. As it takes time for traders to digest and interpret the 
  news, the first half-hour of trading typically has relatively higher levels of volume and volatility. Additionally, 
  as traders attempt to mitigate overnight risk by unloading positions near the close, the last half-hour of trading 
  also sees these higher levels of volume and volatility. These characteristics can be observed from the image below, 
  which is reproducible in the attached research notebook.
</p>

<img class="img-responsive" 
     src="https://cdn.quantconnect.com/i/tu/avg-volume-volatility.png" 
     alt="Tutorial1026-intraday-etf-momentum-1" /> 

<p>
  Bogousslavsky (2016) points out that some investors are late-informed or simply prefer to delay their trading until 
  the market close. As a result, a positive correlation exists between the direction of the opening and closing 
  periods. Gao et al (2017) find that when trading this momentum strategy, the average annual return over their 
  sample period was 6.67% for SPY, 11.72% for IWM, and 24.22% for IYR. Equal-weighting these returns leads to a 
  combined average annual return of 14.2%.
</p>